170 citations · 1.2k across the 37 of their papers we have counts for
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cond-mat2000★ 11 cited
Option pricing and perfect hedging on correlated stocks
Josep Perello, Jaume Masoliver
We develop a theory for option pricing with perfect hedging in an inefficient market model where the underlying price variations are autocorrelated over a time tau. This is accompl…
cond-mat.stat-mech2000★ 4 cited
Integrated random processes exhibiting long tails, finite moments and 1/f spectra
Jaume Masoliver, Miquel Montero, Alan McKane
A dynamical model based on a continuous addition of colored shot noises is presented. The resulting process is colored and non-Gaussian. A general expression for the characteristic…
physics.soc-ph2000★ 20 cited
Black-Scholes option pricing within Ito and Stratonovich conventions
J. Perello, J. M. Porra, M. Montero +1
Options financial instruments designed to protect investors from the stock market randomness. In 1973, Fisher Black, Myron Scholes and Robert Merton proposed a very popular option…